# Intraday Training

Due to the growth of renewable energy, the future perspective of energy markets is seen in short-term trading markets. In this work, we consider the intraday trading of electricity and derive a second-order Hamilton-Jacobi-Bellman (HJB) equation for this setting. As the intraday products are traded hourly, our aim is to find an optimal trading strategy within every hour using the most recent information on the market. To obtain such an optimal trading strategy, we solve the nonlinear HJB equation. As no closed-form solution exists for this particular problem, we require a fine discretization such that the full complexity of the problem can be represented. We introduce the parametric formulation of our HJB equation, in which the parameter is the incoming data of the market.

## Selected Related Output

**2020**

##### S. Glas, R. Kiesel, S. Kolkmann, M. Kremer, N. Graf von Luckner, L. Ostmeier, K. Urban and M. Weber, Intraday Renewable Intraday Trading: Advanced Modeling and Optimal Control.

###### Journal of Mathematics in Industry, 10(1):3.

**2019**

##### S. Glas, R. Kiesel, S. Kolkmann, M. Kremer, N. Graf von Luckner, L. Ostmeier, K. Urban and M. Weber, Intraday Renewable Intraday Trading: Advanced Modeling and Optimal Control.

###### In Progress in Industrial Mathematics at ECMI 2018. Selection as one of the best papers and therefore invited to submit long version to special issue of Journal of Mathematics in Industry

**2019**